Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0392
Annualized Std Dev 0.2328
Annualized Sharpe (Rf=0%) -0.1682

Row

Daily Return Statistics

Close
Observations 3582.0000
NAs 1.0000
Minimum -0.1339
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0037
Maximum 0.4039
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0147
Skewness 5.4777
Kurtosis 178.2718

Downside Risk

Close
Semi Deviation 0.0097
Gain Deviation 0.0143
Loss Deviation 0.0123
Downside Deviation (MAR=210%) 0.0140
Downside Deviation (Rf=0%) 0.0097
Downside Deviation (0%) 0.0097
Maximum Drawdown 0.8022
Historical VaR (95%) -0.0144
Historical ES (95%) -0.0331
Modified VaR (95%) NA
Modified ES (95%) -0.0814
From Trough To Depth Length To Trough Recovery
2006-12-27 2009-03-09 NA -0.8022 3582 552 NA

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA NA NA NA 0 NA
2007 0 0.2 0.9 0 1.2 0.4 -0.6 0.1 0.9 -2 3.3 2.2 6.5
2008 1.3 -0.4 1.3 0.9 -0.2 -1.1 0.3 0.1 -0.4 2.9 -6.8 5 2.4
2009 -3.3 -3.6 2.8 4.6 1.2 1 1.5 -2.6 -2.3 -2.1 0.4 0.9 -1.8
2010 0.9 0.5 1.1 -0.3 -1.1 0.6 0.3 0.9 0.2 0.6 0.2 0.4 4.4
2011 0.1 -0.7 0.3 0.1 0.2 0.2 0.3 -0.4 -1.9 -0.9 -1.2 -0.1 -4
2012 0.2 0.3 -0.9 -0.2 -0.8 -0.5 0.7 0.6 0.2 0.7 0.5 -0.1 0.6
2013 0.4 0.1 -0.1 -0.2 -1.4 -0.2 -0.9 0.4 -1.1 0 0 0 -3
2014 0 0.5 0.3 0.1 -0.1 0 0.1 0.4 0 0.1 -0.5 -1.1 -0.2
2015 -0.1 0.1 -0.3 -0.4 0.2 -0.1 0.5 -0.4 -0.2 0.2 1.3 0.2 0.9
2016 -0.1 1.3 0.4 -0.5 -0.2 0.8 -0.2 -1.1 0.2 -0.3 -0.3 0.6 0.7
2017 0 -1.6 0.3 0 0 0.7 -0.1 0.3 0.4 0.5 0.2 0.2 1
2018 -0.3 -0.2 0.5 -0.2 0.1 0.2 -0.2 -0.1 1.1 0.6 0.4 -0.1 1.9
2019 -0.1 0.2 0.2 0.6 -0.2 0.2 0.6 0.1 -0.4 0.1 0 0.1 1.4
2020 0.7 -1.5 -0.8 0.5 3 1.1 0.9 0.5 -0.2 0.2 -0.5 -0.4 3.6
2021 0 1.1 0.9 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-12-22  25   SPY    141. -0.0061  -0.0112 -0.00120   0.0624    0.111    0.283    0.224 GLD    61.6  0.0044   0.0107
2 2006-12-26  25.1 SPY    142.  0.0059  -0.0026  0.0088    0.0599    0.117    0.292    0.234 GLD    62.0  0.0054   0.0154
3 2006-12-27  25.0 SPY    143.  0.0066   0.002   0.0295    0.0656    0.136    0.299    0.235 GLD    62.2  0.0039   0.0068
4 2006-12-28  25.0 SPY    142. -0.0021   0.0005  0.0229    0.0637    0.131    0.279    0.225 GLD    62.9  0.0109   0.0208
5 2006-12-29  25.0 SPY    142. -0.0041   0       0.0082    0.0602    0.131    0.274    0.221 GLD    63.2  0.0049   0.0298
6 2007-01-03  25   SPY    141. -0.0018   0.0044  0.006     0.0623    0.135    0.270    0.237 GLD    62.3 -0.0147   0.0102
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart